Results 1 to 10 of about 275,098 (284)
The variance-gamma ratio distribution [PDF]
Comptes Rendus. Mathématique, 2023 Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived.
Gaunt, Robert E., Li, Siqi
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On the Moments of the Variance-Gamma Distribution [PDF]
Statistics & Probability Letters, 2023 6 ...
Robert E. Gaunt
semanticscholar +6 more sources
A novel gene-set association test based on variance-gamma distribution. [PDF]
Stat Methods Med Res, 2019 Several gene- or set-based association tests have been proposed recently in the literature. Powerful statistical approaches are still highly desirable in this area.
Chen Z, Liu Q, Wang K.
europepmc +5 more sources
Absolute moments of the variance-gamma distribution [PDF]
Journal of Mathematical Analysis and Applications11 ...
Robert E. Gaunt
semanticscholar +7 more sources
The Variance Gamma Distribution [PDF]
Significance, 2019 Scott Nestler and Andrew Hall provide an overview of a little‐known but highly flexible distribution, which can be useful for modelling share price ...
Scott Nestler, Andrew O. Hall
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The Variance-Gamma Product Distribution. [PDF]
Results MathAbstract We derive the exact probability density function of the product of N independent variance-gamma random variables with zero location parameter. We then apply this formula to derive formulas for the cumulative distribution function and characteristic function, as well
Gaunt RE, Li S, Sutcliffe HL.
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The distribution of the product of independent variance-gamma random variables [PDF]
Journal of Mathematical Analysis and ApplicationsLet $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the product $XY$ is derived. Some basic distributional properties are also derived, including formulas for the cumulative distribution function and the characteristic function, as well as asymptotic approximations ...
Robert E. Gaunt, Siqi Li
semanticscholar +7 more sources
The Variance-Gamma Distribution: A Review [PDF]
Statistical Science, 2023 The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional approximation on
Adrian G. Fischer +2 more
semanticscholar +5 more sources
SSRN Electronic Journal, 2020 The simultaneous analysis of several financial time series is salient in portfolio setting and risk management. This paper proposes a novel alternating expectation conditional maximisation (AECM) algorithm to estimate the vector autoregressive moving ...
Thanakorn Nitithumbundit, Jennifer Chan
semanticscholar +4 more sources
Bayesian estimation of rainfall dispersion in Thailand using gamma distribution with excess zeros [PDF]
PeerJ, 2022 The gamma distribution is commonly used to model environmental data. However, rainfall data often contain zero observations, which violates the assumption that all observations must be positive in a gamma distribution, and so a gamma model with excess ...
Wansiri Khooriphan +2 more
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